It says that an error might occur if it is set to Yes and no jog panel is attached but it doesn't say that something bad could happen when it is set to No when you do have a jog panel. My guess is that a communication check is performed when this is set to Yes but it does not disable the jog panel if it is set to No so what bad can happen if your jog panel gets somehow disconnected? You won't be able to jog? Could that cause any dangerous issues?
Well all I can say is that I know others with jog panels that have done this change to prevent the annoying need to press Cycle Start to run a command file from an Aux button but it's your machine and your responsibility for the configuration changes you make.
Maybe Centroid can chime in here and provide more details if there could be in fact any know negative impact on this setting if it is set to No with a jog panel attached.
-swissi